dekun
120 lines
3.6 KiB
Python
120 lines
3.6 KiB
Python
from datetime import datetime
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from zoneinfo import ZoneInfo
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from app.sim.liquidity import bid_mark_ok
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from app.sim.pricing import option_fill, perp_fill
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from app.strategy.clock import can_open_new, window_key
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from app.strategy.exits import check_expiry_close, check_exits
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from app.strategy.signal import decide
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_SH = ZoneInfo("Asia/Shanghai")
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def test_signal_buy_call_short_perp() -> None:
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s = decide(20.0, 15.0)
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assert s is not None
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assert s.option_side == "call"
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assert s.perp_side == "short"
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def test_signal_buy_put_long_perp() -> None:
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s = decide(10.0, 16.0)
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assert s is not None
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assert s.option_side == "put"
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assert s.perp_side == "long"
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def test_signal_equal() -> None:
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assert decide(10.0, 10.0) is None
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def test_exit_fixed_and_premium_multiple() -> None:
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fixed = check_exits(
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net_pnl=15.0,
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exit_mode="fixed_usdt",
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net_profit_target=15,
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premium_exit_multiple=1,
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initial_premium=40,
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)
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assert fixed.reason == "fixed_usdt"
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assert fixed.target == 15
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assert (
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check_exits(
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net_pnl=14.9,
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exit_mode="fixed_usdt",
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net_profit_target=15,
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premium_exit_multiple=1,
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initial_premium=40,
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).should_close
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is False
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)
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prem = check_exits(
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net_pnl=40.0,
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exit_mode="premium_multiple",
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net_profit_target=15,
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premium_exit_multiple=1,
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initial_premium=40,
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)
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assert prem.reason == "premium_multiple"
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assert prem.target == 40
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half = check_exits(
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net_pnl=20.0,
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exit_mode="premium_multiple",
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net_profit_target=15,
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premium_exit_multiple=0.5,
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initial_premium=40,
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)
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assert half.should_close is True
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assert half.target == 20
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def test_perp_pricing() -> None:
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r = perp_fill(side="long", action="open", bid=100, ask=101, qty_eth=1, fee_rate=0.001)
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assert abs(r.fill_px - 101 * 1.001) < 1e-9
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def test_option_open_close_pricing() -> None:
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o = option_fill(action="open", bid=10, ask=12, qty_eth=2, fee_rate=0.001)
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assert o.fill_px > 12
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c = option_fill(action="close", bid=10, ask=12, qty_eth=2, fee_rate=0.001)
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assert c.fill_px < 10
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def test_window_weekend_skip() -> None:
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# 2026-07-24 周五可开；25/26 周六日不可开
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fri = datetime(2026, 7, 24, 17, 0, tzinfo=_SH)
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sat = datetime(2026, 7, 25, 12, 0, tzinfo=_SH)
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sun = datetime(2026, 7, 26, 10, 0, tzinfo=_SH)
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mon = datetime(2026, 7, 27, 9, 0, tzinfo=_SH)
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assert can_open_new(fri, skip_weekends=True) is True
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assert can_open_new(sat, skip_weekends=True) is False
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assert can_open_new(sun, skip_weekends=True) is False
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assert can_open_new(mon, skip_weekends=True) is True
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assert can_open_new(sat, skip_weekends=False) is True
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assert window_key(fri) == "20260724"
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def test_bid_mark_deviation_30pct() -> None:
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# |7-10|/10 = 30% → 允许（≤30%）
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ok, _ = bid_mark_ok(bid=7.0, mark=10.0, max_dev_pct=30)
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assert ok is True
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ok2, _ = bid_mark_ok(bid=6.9, mark=10.0, max_dev_pct=30)
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assert ok2 is False
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ok3, why = bid_mark_ok(bid=None, mark=10.0, max_dev_pct=30)
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assert ok3 is False
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assert "买一" in why
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def test_expiry_close() -> None:
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assert check_expiry_close(expiry_ms=None).should_close is False
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d = check_expiry_close(expiry_ms=1_000, now_ms=999)
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assert d.should_close is False
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d2 = check_expiry_close(expiry_ms=1_000, now_ms=1_000)
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assert d2.should_close is True
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assert d2.reason == "expiry"
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d3 = check_expiry_close(expiry_ms=1_000, now_ms=1_001)
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assert d3.should_close is True
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